Depressed but doesnt know why? Almost married

My Fiance and I have been dating for 1 1/2 years. The first year was great and after that there have been two times that he has gotten into a depression mode... I have asked him why? Whats wrong? Why do you feel sad and depressed? And he doesnt know why. He says it has nothing to do with me, that he has been like this all his life. He is 27. The only thing that helped him in the past was smoking... which he quit and dont think its good for his health to start smoking again... He tells me everything is going great for him but he wonders why he feels so down? He has a good job, just bought a new car and a house... and we got engaged back in Dec. I feel bad that I cant help him out... so he called a psychological office today to make himself an appointment. We will see what happens... but in the meantime... any tips ? Anyone been in this situation before? BTW he has social anxiety issues as well.

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